| Close | |
|---|---|
| Annualized Return | 0.0821 |
| Annualized Std Dev | 0.1811 |
| Annualized Sharpe (Rf=0%) | 0.4534 |
| Close | |
|---|---|
| Observations | 4206.0000 |
| NAs | 1.0000 |
| Minimum | -0.1253 |
| Quartile 1 | -0.0038 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0053 |
| Maximum | 0.1084 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0114 |
| Skewness | -0.3472 |
| Kurtosis | 15.1928 |
| Close | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0082 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0129 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5279 |
| Historical VaR (95%) | -0.0166 |
| Historical ES (95%) | -0.0284 |
| Modified VaR (95%) | -0.0160 |
| Modified ES (95%) | -0.0192 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2012-12-18 | -0.5279 | 1265 | 312 | 953 |
| 2020-02-13 | 2020-03-23 | 2020-08-12 | -0.3530 | 126 | 27 | 99 |
| 2018-09-24 | 2018-12-24 | 2019-09-11 | -0.2118 | 243 | 64 | 179 |
| 2014-12-24 | 2016-02-11 | 2016-07-14 | -0.1519 | 391 | 285 | 106 |
| 2018-01-29 | 2018-03-23 | 2018-09-13 | -0.1057 | 159 | 39 | 120 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | -0.2 | 0.8 | 1.2 | 0.6 | 1.5 | -0.3 | 3.6 |
| 2005 | 0.4 | 0.4 | -0.7 | 0.5 | 0.2 | 0.2 | -0.1 | -0.1 | -0.1 | -0.5 | 0.9 | -0.6 | 0.5 |
| 2006 | 0.4 | 0.6 | -0.2 | -0.3 | 1 | 0 | -0.7 | 0.3 | -0.2 | -0.5 | -0.4 | -0.4 | -0.4 |
| 2007 | 0.2 | -0.4 | -0.2 | 0.2 | 0.4 | -0.5 | 0.8 | 1.2 | 1.4 | -2.2 | 0.1 | -1 | 0 |
| 2008 | 1.5 | -2.3 | 2.7 | 1.6 | 0.2 | 0.1 | -0.5 | -1.1 | -0.5 | 2.5 | -6.9 | 1.4 | -1.6 |
| 2009 | -2.7 | -1.8 | 2 | 0.1 | 2.9 | 0.6 | -0.3 | -1.6 | -2.1 | -2.4 | 1 | -1 | -5.4 |
| 2010 | 1.2 | 0.8 | 0.8 | -1.1 | -1.5 | -0.3 | 0.1 | 2.9 | 0.2 | 0.3 | 2.2 | 0 | 5.8 |
| 2011 | 1.5 | -1.2 | 0.4 | 0.3 | -1.6 | 1.5 | -0.4 | -1.1 | -2 | -2.7 | -0.2 | -0.3 | -5.7 |
| 2012 | 1.1 | 0.4 | 0.5 | 0.7 | -2.5 | 2.7 | -0.2 | 0.6 | 0.1 | 1.1 | -0.1 | 1.4 | 5.9 |
| 2013 | 0.8 | 0.5 | -0.3 | -0.4 | -1.6 | 0.1 | 0.9 | -0.5 | 0.8 | 0.3 | 0.2 | 0.3 | 1.3 |
| 2014 | -0.3 | 0.3 | 0.4 | -0.2 | 0.4 | 0.7 | 0 | 0.1 | -0.9 | 1.3 | -0.3 | -1.1 | 0.5 |
| 2015 | -1.9 | -0.2 | -0.6 | 0.9 | 0.1 | 0.5 | -0.1 | -2.8 | 0.2 | -0.5 | 1 | -1.1 | -4.5 |
| 2016 | 0.4 | 2.2 | 0.6 | -0.8 | 0.2 | 0.1 | 0 | 0 | 0.7 | -0.8 | -0.5 | -0.5 | 1.7 |
| 2017 | 0.5 | 1.2 | -0.1 | 0.3 | 0.7 | 0.2 | 0.1 | 0.2 | 0.2 | -0.1 | -0.4 | -0.4 | 2.4 |
| 2018 | 0.3 | -1.5 | 1.1 | -0.1 | 0.8 | -0.1 | 0.2 | 0.2 | 0.6 | 1 | 0.5 | 0.9 | 4.2 |
| 2019 | 0.3 | 0.7 | 1.1 | -0.1 | -1.2 | 0.7 | -1.3 | 0.2 | -1 | 1.3 | -0.4 | 0.2 | 0.5 |
| 2020 | -2.1 | -0.9 | -4.5 | -2.7 | 0.6 | 0.6 | 1.5 | 0.8 | 0.3 | -1.4 | 1.1 | 0.4 | -6.2 |
| 2021 | 0.9 | 2.3 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.4 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-07-02 59.5 SPY 113. -0.0005 -8.40e-3 -0.0022 -0.0079 0.131 -0.0713 -0.153 <NA> NA NA NA
2 2004-07-06 59.1 SPY 112. -0.0088 -1.38e-2 -0.0018 -0.024 0.133 -0.0789 -0.168 <NA> NA NA NA
3 2004-07-08 59 SPY 111. -0.0071 -2.72e-2 -0.0286 -0.0303 0.102 -0.0912 -0.193 <NA> NA NA NA
4 2004-07-09 58.9 SPY 112. 0.0028 -1.07e-2 -0.0273 -0.0253 0.111 -0.0999 -0.198 <NA> NA NA NA
5 2004-07-12 58.8 SPY 112. 0.0004 -9.70e-3 -0.0177 -0.0226 0.126 -0.0993 -0.198 <NA> NA NA NA
6 2004-07-13 59.3 SPY 112. 0.0007 -3.00e-4 -0.0218 -0.0258 0.116 -0.0807 -0.198 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>